Fitch Downgrades $2.4B of Subprime MBS

One hundred fifty classes of subprime residential mortgage-backed securities with outstanding balances totaling $2.4 billion were downgraded by Fitch Ratings on Aug. 1.Fitch also affirmed the ratings on 232 classes with outstanding balances of $20 billion. The rating agency said the actions reflect changes in surveillance methodology for 2005 and 2006 vintage loans "designed to capture the rapid deterioration of subprime mortgage performance." Among the downgrades were: 78 classes from 11 issues of SABR mortgage pass-through certificates; 34 classes from five issues of Credit Suisse First Boston Home Equity Asset Trust mortgage pass-through certificates; and 18 classes from three issues of First Franklin Financial Corp. residential mortgage-backed certificates. "The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions adopted after the analysis of the June 27 remittance data," the rating agency said. "The updated assumptions better capture the deteriorating performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness."